You can either create an EBS Volume from scratch or create an EBS Volume from an existing EBS Snapshot. When you create an EBS Volume, you should carefully consider where it should be created. The first question you should ask yourself is "Where is my instance?" Remember, you can only attach a volume to an instance in the same availability zone. Once you create a volume and specify its location, you will not be able to change its availability zone. To launch a volume into a different Availability Zone you need to create an EBS Volume from an EBS Snapshot.

To create an EBS Volume from scratch, go to Manage -> AWS -> EBS Volumes.
Click the New button.

NOTE: Once you create an EBS Volume, you will no longer be able to make changes to its size or availability zone, etc. You will only be able to change what's inside the volume.
Click Create.